Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0283 |
| Annualized Std Dev | 0.2921 |
| Annualized Sharpe (Rf=0%) | 0.0967 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4933.0000 |
| NAs | 1.0000 |
| Minimum | -0.1017 |
| Quartile 1 | -0.0088 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0096 |
| Maximum | 0.1155 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0003 |
| Stdev | 0.0184 |
| Skewness | 0.0451 |
| Kurtosis | 3.8434 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0131 |
| Gain Deviation | 0.0129 |
| Loss Deviation | 0.0132 |
| Downside Deviation (MAR=210%) | 0.0177 |
| Downside Deviation (Rf=0%) | 0.0129 |
| Downside Deviation (0%) | 0.0129 |
| Maximum Drawdown | 0.7795 |
| Historical VaR (95%) | -0.0302 |
| Historical ES (95%) | -0.0431 |
| Modified VaR (95%) | -0.0283 |
| Modified ES (95%) | -0.0424 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2001-07-16 | 2002-10-08 | 2015-05-28 | -0.7795 | 3470 | 290 | 3180 |
| 2019-04-25 | 2020-03-23 | 2021-01-07 | -0.3710 | 431 | 230 | 201 |
| 2015-06-19 | 2016-02-09 | 2016-09-22 | -0.2530 | 319 | 162 | 157 |
| 2018-09-04 | 2018-12-24 | 2019-02-22 | -0.2164 | 118 | 78 | 40 |
| 2021-02-16 | 2021-03-04 | NA | -0.1013 | 25 | 13 | NA |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | NA | NA | NA | NA | NA | NA | 2.2 | -2.2 | -3.1 | 1.7 | -1.2 | 0.1 | -2.5 |
| 2002 | -2.2 | 5.3 | 2 | -1.1 | 2.2 | -5 | -2.2 | 0.2 | 4.9 | 3.8 | -0.1 | 1.8 | 9.5 |
| 2003 | -2.3 | 0.8 | 0.7 | -0.4 | 0.8 | 2.9 | 0.8 | -0.7 | 0.4 | -0.6 | 1 | 0.2 | 3.6 |
| 2004 | 3.4 | 0.8 | 2.1 | -4 | 0.4 | -2.6 | 0.1 | 1 | 2.8 | -0.4 | 2.1 | -0.2 | 5.6 |
| 2005 | 0 | 2 | -1.2 | 0.2 | 1.4 | 0.3 | 0.1 | -0.4 | 0.7 | -0.8 | 2.2 | -0.7 | 3.8 |
| 2006 | 1.4 | 4.2 | -0.7 | -0.9 | 3 | -0.1 | -2.7 | -0.2 | 0 | -1.5 | -1.5 | -0.3 | 0.5 |
| 2007 | 0.3 | -0.8 | 0.8 | 0.2 | 0.6 | 0.7 | 0.9 | 1.2 | 1.2 | -2.4 | -0.8 | -0.8 | 0.8 |
| 2008 | 1.5 | -3 | 3.5 | 1.6 | 1.1 | 0.5 | -0.4 | -1.8 | -2.5 | -0.6 | -8.1 | 3.3 | -5.4 |
| 2009 | -3.2 | -1 | 4.3 | 0.8 | 4.2 | 0.9 | -0.5 | -2.1 | -3.4 | -3.3 | 2.2 | -0.7 | -2.4 |
| 2010 | 1.6 | 1.2 | -0.5 | -2.1 | -3.7 | -0.9 | -0.9 | 2.9 | 0 | -0.8 | 2 | -0.2 | -1.5 |
| 2011 | 1.4 | -1.5 | -2.4 | -0.3 | -3.6 | 1.8 | -1.4 | -0.6 | -2.9 | -3.4 | -0.5 | -0.3 | -12.9 |
| 2012 | 1.7 | 0.2 | 0.4 | -0.4 | -3 | 2.9 | -0.4 | 0 | -0.5 | 3.8 | 0.2 | 1.6 | 6.5 |
| 2013 | 0.3 | -0.5 | -1.2 | -2.5 | -0.9 | 0.3 | 1.4 | -1.1 | 1.2 | -0.6 | 0.2 | 0.4 | -3 |
| 2014 | -1.5 | -0.7 | 2 | -0.6 | -0.6 | 0.6 | -1.6 | 0.7 | -1.6 | 1.3 | -0.8 | -0.9 | -3.7 |
| 2015 | -2.1 | 0.1 | -0.8 | 1 | 0 | 0.6 | 0.5 | -2.1 | -0.3 | 0.1 | 0.5 | -0.3 | -2.9 |
| 2016 | 0.1 | 1.2 | -0.4 | -0.9 | 0.4 | -0.3 | -0.2 | 1.2 | 0.7 | -0.2 | -1.7 | -0.5 | -0.7 |
| 2017 | -0.2 | -1.1 | -0.2 | 0.2 | 3.9 | -0.3 | 0.8 | 0.9 | 0.6 | 0 | -0.7 | -0.2 | 3.9 |
| 2018 | 0.7 | -1.4 | 2.1 | -1.2 | 1.5 | 0.4 | -0.2 | 0.4 | -1.6 | 2.8 | 0.4 | 1 | 5 |
| 2019 | 0.5 | 0.1 | 2 | -0.9 | -2.3 | 1.4 | -1.7 | -0.1 | -3.6 | -1.3 | -0.1 | 0.3 | -5.7 |
| 2020 | -2.4 | -0.8 | -4.2 | -3.6 | 0.7 | -1.7 | 0.8 | 0.5 | 0.5 | -0.6 | 0.5 | 0.3 | -9.5 |
| 2021 | 2.7 | 3.3 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
